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FOR PROFESSIONAL CLIENTS INVESTED IN THE FUND ONLY. FOR A FULL LIST OF APPLICABLE RISKS, SHOULD REFER TO THE PROSPECTUS OR OTHER OFFERING DOCUMENTS

UK LDI DATA SHEET 31 January 2021

TODAY 1 MONTH 3 MONTHS 20-year Euro rates (zc) Conventional gilts (zc) (% pa) 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 5 year 0.03 -0.05 -0.02 5 10 year 0.38 0.23 0.30 20 year 0.89 0.73 0.83 50 year 0.71 0.55 0.66 0

Index-linked gilts (zc) (% pa) 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 5 year -3.01 -2.94 -3.08 Swappa) (% rate -5 10 year -2.79 -2.86 -3.00 Jan-15 Jan-16 Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 20 year -2.34 -2.48 -2.45 50 year -2.14 -2.27 -2.25 Euro swap rates by maturity ( paying Gilt breakeven inflation (zc) (% pa)3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 instrument) 5 year 3.13 2.97 3.15 10 year 3.26 3.18 3.40 4 20 year 3.31 3.30 3.36 2 50 year 2.91 2.88 2.98 0 Interest rate swaps (zc) (% pa) 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20

5 year 0.07 -0.01 0.00 Yield(% pa) -2 10 year 0.29 0.16 0.19 -4 20 year 0.48 0.31 0.36 0Y 10Y 20Y 30Y 40Y 50Y 50 year 0.38 0.20 0.27 Index-linked gilts Gilts Inflation swaps (zc) (% pa) 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 Interest rate swaps AA 5 year 3.43 3.32 3.51 10 year 3.50 3.41 3.57 20 year index-linked z-spread 20 year 3.34 3.31 3.39 120 50 year 2.93 2.92 2.96 100 80 Z-spread by maturity (bp) 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 60

Conventional 10 year 40 spread(bp)

6 6 10 - (UKT 0.375% 2030) z 20 Conventional 20 year 0 36 38 43 Jan-15 Jan-16 Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 (UKT 1.25% 2041) Conventional 30 year CDS spread (bp) 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 42 44 47 (UKT 0.625% 2050) iTraxx Europe 5 year Index-linked 10 year 52 48 65 31 33 30 (on-the-run-series) (UKTI 4.125% 2030) iTraxx Europe 10 year Index-linked 20 year 92 86 103 43 42 50 (on-the-run-series) (UKTI 0.125% 2041) CDX 10 year Index-linked 30 year 96 91 107 45 46 47 (on-the-run-series) (UKTI 0.5% 2050) Equity markets 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 Financing rates (% pa) 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 UK - FTSE 100 6,407 6,461 5,577 3 month repo rate 0.14 0.20 0.21 US - S&P 500 3,714 3,756 3,270 3 month SONIA swap rate 0.03 0.04 0.05 Europe - Eurostoxx 50 3,481 3,553 2,958 6 month repo rate 0.13 0.21 0.21 Japan - Topix 1,809 1,805 1,579 6 month SONIA swap rate 0.02 0.02 0.03 Equity 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 Other rates (% pa) 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 VIX Index 33.1 22.8 38.0 20 year conventional gilt rate 3 years 1.10 0.92 1.02 forward Currency 3 1 Ja n 21 3 1 D ec 20 3 0 O ct 20 20 year conventional gilt rate 5 years GBPUSD 1.37 1.37 1.29 1.15 1.04 1.13 forward GBPEUR 1.13 1.12 1.11

All data sources are Bloomberg, Barclays Capital and Insight. Data as at close of business on dates specified. All yields displayed are annualised. DEFINITIONS

Basis point (bp) Real rate swaps Zero Coupon (zc) A unit of measure equal to 1/100th of 1%. The real rate is the interest rate Zero coupon instruments are those that i.e. 0.01%. swap rate discounted by the inflation do not pay interest periodically but swap rate. rather pay an accumulated sum rolled up BOE at maturity. of England. Repo rate The market rate for gilt repurchase Z-spread Credit spread agreements as published by the The z-spread is the difference in yield The difference in yield between AA Bank of England. between a government issued corporate bonds and government bonds. and its corresponding swap . SONIA More specifically, the Z-spread is the Forward rate Sterling Overnight Interbank parallel shift applied to the SONIA swap The agreed future yield of an asset Average rate. Note: SONIA interest rate curve such that when a bond’s e.g. the 30 year swap rate starting swap rates used flows are discounted by the resulting 3 years hence. discount factors at each annual maturity, the present value equals the market Inflation swaps A swaption is an granting its price of the bond. Here we are showing a A contractual agreement where an owner the right but not the obligation to positive Z-spread number to mean that pays a fixed rate and receives a enter into an underlying swap at some gilt yields are higher than swap yields payment linked to inflation. There is no future date. with equal durations. exchange of principal at inception or maturity. The percentage level refers VIX All data sources are Bloomberg except to the fixed rate that is paid as part of Chicago Board Options Exchange Market 20 year index-linked z-spread which is the swap. Volatility Index. A measure of sourced from Barclays Capital. the of S&P 500 index Interest rate swaps options. It represents one measure of the A contractual agreement to exchange a market’s expectation of market stream of periodic payments between volatility over the next 30 day period. counterparties, usually taking the form of exchanging a fixed rate for a floating rate. The agreement defines the dates when the cash flows are to be exchanged and the way that they are calculated. The percentage level refers to the fixed rate that is paid or received as part of the swap.

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